财贸经济
財貿經濟
재무경제
Finance & Trade Economics
2014年
12期
64~74
,共null页
货币政策 透明度 通货膨胀 产出
貨幣政策 透明度 通貨膨脹 產齣
화폐정책 투명도 통화팽창 산출
Monetary Policy, Transparency, Inflation, Output
20世纪90年代以来，世界各国普遍追求货币政策的透明化，这一制度选择已成为央行实践的重要现象，考察货币政策透明化的宏观经济效应则是理论界和实务界的关注焦点。为对中国货币政策透明化进行实证分析，本文在传统VAR模型的基础上构建PTVP—SV—FAVAR模型：首先，设定概率时变的斜率系数以刻画转轨经济体中经济结构和经济主体行为的时变性；其次，引入随机波动率以捕捉经济结构冲击波动的时变性；最后，通过扩展因子的方法以最大程度地包含经济系统的完整信息。实证结果发现：（1）中国货币政策透明化在1998—2006年期间降低了通货膨胀水平，而在2007—2011年期间提高了通货膨胀水平；（2）货币政策透明化增强了通货膨胀持续性；（3）货币政策透明化在短期内降低产出增长，长期则是提高产出增长；（4）货币政策透明化有利于产出增长的稳定，但加剧了通货膨胀的波动，对通货膨胀波动的恶化效应在宏观经济不确定增强时期更为明显。
20世紀90年代以來，世界各國普遍追求貨幣政策的透明化，這一製度選擇已成為央行實踐的重要現象，攷察貨幣政策透明化的宏觀經濟效應則是理論界和實務界的關註焦點。為對中國貨幣政策透明化進行實證分析，本文在傳統VAR模型的基礎上構建PTVP—SV—FAVAR模型：首先，設定概率時變的斜率繫數以刻畫轉軌經濟體中經濟結構和經濟主體行為的時變性；其次，引入隨機波動率以捕捉經濟結構遲擊波動的時變性；最後，通過擴展因子的方法以最大程度地包含經濟繫統的完整信息。實證結果髮現：（1）中國貨幣政策透明化在1998—2006年期間降低瞭通貨膨脹水平，而在2007—2011年期間提高瞭通貨膨脹水平；（2）貨幣政策透明化增彊瞭通貨膨脹持續性；（3）貨幣政策透明化在短期內降低產齣增長，長期則是提高產齣增長；（4）貨幣政策透明化有利于產齣增長的穩定，但加劇瞭通貨膨脹的波動，對通貨膨脹波動的噁化效應在宏觀經濟不確定增彊時期更為明顯。
20세기90년대이래，세계각국보편추구화폐정책적투명화，저일제도선택이성위앙행실천적중요현상，고찰화폐정책투명화적굉관경제효응칙시이론계화실무계적관주초점。위대중국화폐정책투명화진행실증분석，본문재전통VAR모형적기출상구건PTVP—SV—FAVAR모형：수선，설정개솔시변적사솔계수이각화전궤경제체중경제결구화경제주체행위적시변성；기차，인입수궤파동솔이포착경제결구충격파동적시변성；최후，통과확전인자적방법이최대정도지포함경제계통적완정신식。실증결과발현：（1）중국화폐정책투명화재1998—2006년기간강저료통화팽창수평，이재2007—2011년기간제고료통화팽창수평；（2）화폐정책투명화증강료통화팽창지속성；（3）화폐정책투명화재단기내강저산출증장，장기칙시제고산출증장；（4）화폐정책투명화유리우산출증장적은정，단가극료통화팽창적파동，대통화팽창파동적악화효응재굉관경제불학정증강시기경위명현。
Pursuing transparency of monetary policy has been becoming a major policy choice for worldwide nations since 1990s, and it is also an important phenomenon in central bank practice. Therefore, examining its macroeconomic effects is getting more and more attention both in theoretical and practical fields. To empirically analyze the transparency of monetary policy in China, this paper constructs a PTVP-SV-FAVAR model on the basis of traditional VAR model. Firstly, time-varying set of parameters is set to characterize the time variability of economic structure and the behavior of economic agents in transition economies. Secondly, stochastic volatility is introduced to capture the time-varying shock of the economic structure. Finally, the factor method is applied to make sure the maximum entirety of information in economic system. The empirical results show that transparency of monetary policy in China lowered the level of inflation from 1998 to 2006, but raised that level during 2007 to 2011. It enhances persistence of inflation, reduces the growth of output in the short term, but improves that in long term. The transparency of monetary policy is conducive to the stability of the growth of output, but exacerbates the volatility of inflation, which is much more obvious in enhancement period of uncertainty in macro-economy.
